Hacihasanoglu, Erk and Turhan, Ibrahim M. and Soytas, Ugur (2012): Oil prices and emerging market exchange rates. Published in: The Central Bank of the Republic of Turkey Working Papers Series , Vol. 1, No. 12 (January 2012): pp. 1-26.
Download (423Kb) | Preview
This paper investigates the role of oil prices in explaining the dynamics of selected emerging countries exchange rates. Using daily data series, the study concludes that a rise in oil price is leading to a significant appreciation in emerging economies currencies against the US dollar. In our study, we divide daily returns from 03/01/2003 to 02/06/2010 into 3 subsamples and test the role of oil price changes on exchange rate movements. We employ generalized impulse response functions to trace out the dynamic response of each exchange rate in three different time periods. Our findings suggest that oil price dynamics are changing significantly in the sample period and the relation between oil prices and exchange rates becomes more relevant after the 2008 financial crisis.
|Item Type:||MPRA Paper|
|Original Title:||Oil prices and emerging market exchange rates|
|Keywords:||oil prices; emerging market exchange rates; international financial markets; financial crisis|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q4 - Energy > Q43 - Energy and the Macroeconomy
G - Financial Economics > G0 - General > G01 - Financial Crises
|Depositing User:||Ibrahim M. Turhan|
|Date Deposited:||06. Feb 2012 16:42|
|Last Modified:||17. Feb 2013 19:57|
Amano, R., S. Norden, (1998). Oil Prices and the Rise and Fall of the US Real Exchange Rate. Journal of International Money and Finance 17, 299–316.
Arezki R., and Hasanov F. (2009). Global Imbalances and Petrodollars, IMF Working Paper WP/09/89
Basher S., Haug A. and P. Sadorsky, (2011). Oil Prices, Exchange Rates and Emerging Stock Markets Available at SSRN: http://ssrn.com/abstract=1852828
BIS Quarterly Review (2005) International Banking and Financial Market Developments, December 2005
Chaudhuri, K, Daniel, B., (1998). Long-run Equilibrium Real Exchange Rates and Oil Prices. Economics Letters 58 (2), 231–238.
Chen S., Chen H. (2007). Oil Prices and Real Exchange Rates, Energy Economics 29, 390– 404.
Elliott, G., T. J. Rothenberg, and J. H. Stock, 1996. Efficient Tests for an Autoregressive Unit Root. Econometrica 64, 813-836.
Golub, S., (1983). Oil Prices and Exchange Rates, Economic Journal, 93, 576-593.
Khan, S., (2010), Crude Oil Price Shocks to Emerging Markets: Evaluating the BRICs Case Available at SSRN: http://ssrn.com/abstract=1617762.
Koop, G., Pesaran, M. H., and Potter, S. M., 1996. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 74: 119-147.
Krugman P., (1980) Oil and the Dollar, NBER Working Paper Series No. 554 Lizardo R., Mollick A., (2010). Oil Price Fluctuations and U.S. Dollar Exchange Rates, Energy Economics 32 399–408
McKinsey&Company (2007).The new power brokers: How Oil, Asia, Hedge Funds, and Private Equity Are Shaping Global Capital Markets, October 2007.
Miller J., Ratti R. (2009). Crude Oil and Stock Markets: Stability, Instability, and Bubbles, Energy Economics 31 559–568.
Maddala, G. S. and I. Kim, 1998. Unit Roots, Cointegration, and Structural Change. Cambridge: Cambridge University Press.
Narayan K., Narayan S. and Prasad A. (2008). Understanding the Oil Price-Exchange Rate Nexus for the Fiji Islands, Energy Economics 30 (2008) 2686–2696.
Ng, S. and P. Perron, 2001. Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power. Econometrica 69: 1519-1554.
Pesaran, M. H. and Shin, Y., 1998. Generalized impulse response analysis in linear multivariate models. Economics Letters 58: 17-29.
Wiegand J., (2008). Bank Recycling of Petro Dollars to Emerging Market Economies During the Current Oil Price Boom, IMF Working Paper WP/08/180.